Executive Summary
Strategy Overview
Strategy: Trend Following Strategy (Full S&P 500)
Period: 2014-06-16 to 2025-07-16
Total Trades: 86798
Strategy Performance
Total Return
8.93%
Annualized Return
0.78%
Volatility
6.93%
Sharpe Ratio
-0.14
Max Drawdown
-13.71%
Strategy Risk Profile
Beta vs Benchmark
-0.0074
Alpha vs Benchmark
-1.16%
VaR (95%)
-0.75%
Win Rate (Daily)
34.9%
Key Insights
- Risk-adjusted returns below target levels
- Reasonable drawdown control with maximum drawdown under 20%
- Low win rate suggesting need for signal improvement
- Negative alpha suggesting benchmark underperformance
Strategy Overview
Strategy Characteristics
Strategy Type: Statistical Arbitrage
Asset Class: Equities
Trading Universe: S&P 500
Signal Frequency: High Frequency (1000+ trades/year)
Holding Period: Short-term (<5 days)
Leverage: No leverage (100% cash)
Backtest Parameters
Start Date: 2014-06-16
End Date: 2025-07-16
Total Days: 4048
Initial Capital: $100,000
Data Source: Yahoo Finance
Execution Assumptions
Slippage: N/A (Not implemented)
Commission: N/A (Not implemented)
Liquidity Filters: N/A (Not implemented)
Execution Quality: N/A (Not implemented)
Strategy Description
This statistical arbitrage strategy operates in the equities market with a focus on S&P 500. The strategy employs high frequency (1000+ trades/year) signals with short-term (<5 days) holding periods, designed to capture market inefficiencies through systematic analysis of price patterns and market dynamics.
The backtest covers a 4048-day period from 2014-06-16 to 2025-07-16, starting with $100,000 in initial capital. The strategy would have led to a final value of $108,929, representing a 8.9% return over the 4048-day backtest period. Execution costs and implementation details are not yet implemented in this backtest framework.
Key Performance Metrics - Strategy vs Benchmark
Strategy Performance
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Cumulative Return | 8.93% | 223.93% |
| Annualized Return | 0.78% | 11.21% |
| Alpha | -1.16% | 0.00% |
| Sharpe Ratio | -0.14 | 0.63 |
| Sortino Ratio | -0.17 | 0.79 |
| Calmar Ratio | -0.07 | 0.35 |
| Beta | -0.0074 | 1.00 |
Strategy Risk Profile
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Volatility (Ann.) | 6.93% | 15.67% |
| Max Drawdown | -13.71% | -32.24% |
| Value-at-Risk (95%) | -0.75% | -1.58% |
| Value-at-Risk (99%) | -1.29% | -2.99% |
| Tail Risk | -1.11% | -2.42% |
| Win Rate (Daily) | 34.9% | 56.3% |
| Turnover | 8.03 | N/A |
Period Performance - Strategy vs Benchmark
Note: All returns below are annualized (projected annual rate). For actual cumulative returns, see the Performance Chart above.
| Period | Return (Annualized) | Volatility (Annualized) | ||
|---|---|---|---|---|
| Strategy | Benchmark | Strategy | Benchmark | |
| MTD | 8.21% | 27.00% | 5.08% | 6.88% |
| YTD | 1.85% | 10.85% | 6.40% | 23.78% |
| 1Y | -3.60% | 10.93% | 6.72% | 19.70% |
| 3Y | 1.73% | 17.90% | 6.58% | 16.69% |
| 5Y | -0.20% | 14.28% | 7.51% | 16.55% |
| All Time | 0.77% | 11.18% | 6.93% | 15.67% |
Performance Charts
Cumulative Performance (Base 100) - Strategy vs Benchmark
Performance Overview
Cumulative Drawdown from Peak
Note: Shows drawdown from the highest point reached. Negative values indicate decline from peak.
Returns Distribution
Note: Distribution of daily returns. Helps identify return patterns and outliers.
Risk & Volatility Analysis
Rolling Sharpe Ratio (60-Day Window)
Note: 60-day rolling window, annualized. Window adjusts for shorter datasets.
Rolling Beta (60-Day Window)
Note: 60-day rolling window. Shows how strategy's sensitivity to benchmark changes over time.
Correlation & Exposure Analysis
Strategy vs Benchmark Returns Scatter
Beta Calculation: β = Cov(Strategy Returns, Benchmark Returns) / Var(Benchmark Returns)
Portfolio Exposure Over Time
Note: Shows portfolio exposure and allocation changes over time.
Advanced Risk Metrics
Value-at-Risk Over Time
Calculation Method: 30-day rolling window historical VaR (5th percentile). The step-like appearance occurs because VaR changes only when the worst return in the rolling window changes. Note: Shows potential loss estimates at 95% confidence level.
Trade/Signal Summary
Signal Analysis
| Metric | Value |
|---|---|
| Daily Signal Hit Rate | 54.6% |
| Signals per Month | 19.6 |
| Position Balance | 1.00 |
| Daily Turnover | 0.032 |
Daily Signal Hit Rate: Percentage of days with active signals that generated positive returns.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Daily Turnover: Average daily change in position sizes.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Daily Turnover: Average daily change in position sizes.
Trade Execution
| Metric | Value |
|---|---|
| Total Trades Executed | 86798 |
| Win Rate | 34.9% |
| Avg PnL per Trade | 0.0000 (≈$0) |
| Annualized Turnover | 8.0 |
Win Rate: Percentage of profitable trades (different from signal hit rate).
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Data Source: Actual Signals
Notes & Metadata
- Code Version: v2.0.0
- Backtest Parameters:
- Lookback: 200 days
- Universe: 503 assets
- Slippage: N/A (Not implemented)
- Costs: N/A (Not implemented)
- Report Generation Date: 2025-07-23
- Environment: Backtest
Additional Notes
This report was generated using historical data and backtest results.